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References on Probability
Basic Textbooks on Measure-Theoretic Probability.
R.B. Ash and C.A. Doléans-Dade. (2000). Probability and Measure Theory, 2nd Ed. Academic Press.
(Chapters 7,9 approximately, plus extra material)
Breiman, L. (1968). Probability. Addison-Wesley, Reading, Mass.
Chow, Y. S. and H. Teicher. (1997). Probability Theory: Independence, Interchangeability, Martingales,
3rd Ed. Springer-Verlag, New York.
Chung, K. L. (2001). A Course in Probability Theory, 3rd Ed. Academic Press, San Diego.
Dudley, R. M. (1989). Real Analysis and Probability. Wadsworth, Pacific Grove, California.
Durrett, Richard (1996). Probability: Theory and Examples 2nd Ed. Duxbury, Belmont, California.
Neveu, J. (1965). Mathematical Foundations of the Calculus of Probability. Holden-Day, San Francisco.
Stoyanov, J. M. (1997). Counterexamples in Probability, 2nd Ed. Wiley, New York.
Stromberg, K. (1994). Probability for Analysts. Chapman-Hall, New York.
Taylor, J. (1996). Measure and Probability. Springer-Verlag, New York.
Mainly for Reference.
Feller, William (1971). An Introduction to Probability Theory and Its Applications, Volume II 2nd Ed.
Wiley, New York.
Hoffmann-Jorgensen, J. (1994). Probability with a View Toward Statistics, Volumes I and II. Chapman-Hall,
New York.
Kallenberg, O. (2002). Foundations of Modern Probability, 2nd Ed. Springer-Verlag, New York.
Stroock, D. W. (1993). Probability Theory: An Analytic View. Cambridge University Press, Cambridge.
Specialized Topics.
Anderson, W. J. (1991). Continuous-Time Markov Chains. Springer-Verlag, New York.
Adler, R. J. (1981). The Geometry of Random Fields., Wiley, New York.
Baldi, P., Mazliak, L. and P. Priouret. (2002). Martingales and Markov Chains: Solved Exercises and
Elements of Theory. Chapman-Hall/CRC, Boca Raton.
Basawa, I. V. and B. L. S. Prakasa Rao. Statistical Inference for Stochastic Processes. Academic Press,
London.
Billingsley, P. (2000). Convergence of Probability Measures, 2nd Ed., Wiley, New York.
Chung, K. L. (1967). Markov Chains with Stationary Transition Probabilities, 2nd Ed. Springer-Verlag,
New York.
Chung, K. L. and R. J. Williams (1990). Introduction to Stochastic Integration, 2nd Ed. Birkhauser, Boston.
Embrechts, P. and Maejima, M. (2002). Selfsimilar Processes. Princeton University Press, Princeton.
Hida, T. and M. Hitsuda. (1991). Gaussian Processes. American Mathematical Society, Providence, R.I.
Kallenberg, O. (1976). Random Measures. Academic Press, London.
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Karatzas, I. and S. E. Shreve (1991). Brownian Motion and Stochastic Calculus. Springer-Verlag, New York.
Lukacs, E. (1970). Characteristic Functions, 2nd Ed. Griffin.
Meyn, S. P. and Tweedie, R. L. (1993). Markov Chains and Stochastic Stability. Springer-Verlag, New York.
Petrov, V. V. (1995). Limit Theorems of Probability Theory. Oxford University Press, Oxford.
Samorodnitsky, G. and M. S. Taqqu. (1994). Stable Non-Gaussian Random Processes. Chapman-Hall/CRC,
Boca Raton.
Shorack, G. R. (2000). Probability for Statisticians. Springer-Verlag, New York.
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